Something

<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1" />
<title>Untitled Document</title>
</head>

<body>
<cfdirectory action="list"
directory="e:\myFTPDirectory\"
name="listOfFiles"
recurse="no">
<form name="form1" method="post" action="something.cfm">
<select>
<cfloop query="listOfFiles">
<cfoutput><option>#listOfFiles.name#</option></cfoutput><br />
</cfloop>
</select>
</form>

</body>
</html>